The University of Southampton
University of Southampton Institutional Repository

Second-order approximation of dynamic models without the use of tensors

Record type: Article

Several approaches to finding the second-order approximation to a dynamic model have been proposed recently. This paper differs from the existing literature in that it makes use of the Magnus and Neudecker (1999) definition of the Hessian matrix. The key result is a linear system of equations that characterizes the second-order coefficients. No use is made of multi-dimensional arrays or tensors, a practical implication of which is that it is much easier to transcribe the mathematical representation of the solution into usable computer code. Matlab code is available from http://paulklein.se/newsite/codes/codes.php; Fortran 90 code is available from http://alcor.concordia.ca/pgomme/.

Full text not available from this repository.

Citation

Gomme, Paul and Klein, Paul (2011) Second-order approximation of dynamic models without the use of tensors Journal of Economic Dynamics and Control, 35, (4), pp. 604-615. (doi:10.1016/j.jedc.2010.10.006).

More information

Published date: April 2011
Keywords: solving dynamic models, second-order approximation
Organisations: Economics

Identifiers

Local EPrints ID: 174063
URI: http://eprints.soton.ac.uk/id/eprint/174063
ISSN: 0165-1889
PURE UUID: 4c359827-8497-428a-9e9f-9b1dfb6d0d33

Catalogue record

Date deposited: 10 Feb 2011 11:17
Last modified: 18 Jul 2017 12:12

Export record

Altmetrics

Contributors

Author: Paul Gomme
Author: Paul Klein

University divisions


Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×